Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | NA | NA | NA |
| Score | NA | NA | NA |
| Market Cap (Millions USD) | NA | NA | NA |
| Predicted Beta | 0.63 | 0.63 | 0.63 |
| Idiosyncratic Volatility | 1.45 | 1.43 | 1.41 |
Annualized return and volatility
| OSMYX | |
|---|---|
| Annualized Return | 0.1149 |
| Annualized Std Dev | 0.2214 |
| Annualized Sharpe (Rf=0%) | 0.5189 |
Row
Daily Return Statistics
| OSMYX | |
|---|---|
| Observations | 3661.0000 |
| NAs | 1453.0000 |
| Minimum | -0.0982 |
| Quartile 1 | -0.0046 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0004 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1115 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0002 |
| Stdev | 0.0139 |
| Skewness | -0.4171 |
| Kurtosis | 8.4367 |
Downside Risk
| OSMYX | |
|---|---|
| Semi Deviation | 0.0103 |
| Gain Deviation | 0.0098 |
| Loss Deviation | 0.0119 |
| Downside Deviation (MAR=210%) | 0.0146 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.7822 |
| Historical VaR (95%) | -0.0213 |
| Historical ES (95%) | -0.0361 |
| Modified VaR (95%) | -0.0216 |
| Modified ES (95%) | -0.0422 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2008-11-20 | 2013-04-30 | -0.7822 | 1405 | 273 | 1132 |
| 2006-05-11 | 2006-06-13 | 2006-12-04 | -0.2555 | 146 | 23 | 123 |
| 2007-07-13 | 2007-08-16 | 2007-10-29 | -0.2388 | 77 | 25 | 52 |
| 2018-06-14 | 2018-12-24 | 2019-11-25 | -0.2130 | 372 | 137 | 235 |
| 2014-07-07 | 2014-10-16 | 2015-03-20 | -0.1301 | 184 | 74 | 110 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | OSMYX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2004 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | 0.0 | 0.7 | 1.8 | 0.0 | 2.5 |
| 2006 | -0.2 | 1.3 | 0.0 | 0.6 | -0.5 | 0.0 | 0.1 | 1.2 | 0.0 | -1.0 | 0.2 | 0.0 | 1.8 |
| 2007 | 0.6 | -1.0 | 0.0 | -0.1 | 1.8 | 0.0 | -2.0 | 0.0 | 1.8 | -2.6 | 0.0 | 0.0 | -1.6 |
| 2008 | 1.5 | 0.0 | 0.1 | -0.6 | 0.0 | -0.8 | -1.3 | 0.0 | -2.1 | 0.0 | 0.0 | 0.0 | -3.2 |
| 2009 | 0.0 | 0.0 | 2.2 | 3.0 | 4.3 | 0.9 | 0.0 | -2.2 | -3.3 | 0.0 | 3.5 | 0.0 | 8.3 |
| 2010 | 1.8 | 1.6 | 2.0 | 0.0 | -0.9 | -0.2 | 0.0 | 2.5 | 1.4 | 0.3 | 3.0 | 0.0 | 12.1 |
| 2011 | 2.3 | 0.1 | 0.5 | 0.0 | -0.9 | 0.4 | -0.6 | -0.8 | 0.0 | -3.2 | -1.1 | 0.0 | -3.3 |
| 2012 | 2.2 | 0.2 | 0.0 | 0.1 | -2.7 | 0.0 | -0.4 | 0.0 | 0.7 | 0.0 | 0.0 | 0.0 | 0.2 |
| 2013 | 1.0 | -0.2 | -0.5 | 0.2 | 0.0 | 1.3 | 0.6 | 0.0 | 0.7 | -0.5 | 0.0 | 0.0 | 2.4 |
| 2014 | 0.0 | 0.0 | 0.7 | 0.6 | 0.0 | 0.6 | -0.5 | 0.0 | -0.8 | 0.0 | 0.2 | 0.0 | 0.8 |
| 2015 | 0.0 | 0.0 | 0.2 | 0.1 | -0.2 | 0.8 | 0.0 | -1.9 | 0.1 | 0.0 | 1.1 | 0.0 | 0.1 |
| 2016 | 0.5 | 2.0 | 0.0 | 0.0 | 0.1 | 0.7 | 0.0 | 0.9 | 0.0 | 0.1 | -0.7 | 0.0 | 3.7 |
| 2017 | 0.7 | 0.8 | 0.0 | 0.4 | 0.9 | 0.0 | 0.5 | 0.1 | 0.0 | 0.1 | -0.4 | 0.0 | 3.2 |
| 2018 | 0.6 | -1.4 | 0.0 | -0.3 | 0.7 | 0.0 | 0.0 | 0.0 | 0.2 | 1.9 | 0.0 | 0.0 | 1.6 |
| 2019 | 0.1 | 1.0 | 1.1 | -0.6 | 0.0 | 0.9 | 0.1 | 0.0 | -0.5 | 1.0 | 0.0 | 0.4 | 3.5 |
Row
Rolling Performance Chart
Snail Trail Chart
